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On measuring nonlinear risk with scarce observations

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  • Alexander Cherny
  • Raphael Douady
  • Stanislav Molchanov

Abstract

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Suggested Citation

  • Alexander Cherny & Raphael Douady & Stanislav Molchanov, 2010. "On measuring nonlinear risk with scarce observations," Finance and Stochastics, Springer, vol. 14(3), pages 375-395, September.
    • Handle: RePEc:spr:finsto:v:14:y:2010:i:3:p:375-395
    DOI: 10.1007/s00780-009-0107-y
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    References listed on IDEAS

    as
    1. Vikas Agarwal, 2004. "Risks and Portfolio Decisions Involving Hedge Funds," The Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 63-98.
    2. Alexander S. Cherny & Dilip B. Madan, 2006. "Coherent measurement of factor risks," Papers math/0605062, arXiv.org.
    3. Fung, William & Hsieh, David A, 2001. "The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 313-341.
    4. Rosen, Dan & Saunders, David, 2009. "Analytical methods for hedging systematic credit risk with linear factor portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 37-52, January.
    5. Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," The Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Siqiao Zhao & Zhikang Dong & Zeyu Cao & Raphael Douady, 2024. "Hedge Fund Portfolio Construction Using PolyModel Theory and iTransformer," Papers 2408.03320, arXiv.org, revised Aug 2024.
    2. Xingxing Ye & Raphael Douady, 2018. "Systemic Risk Indicators Based on Nonlinear PolyModel," JRFM, MDPI, vol. 12(1), pages 1-24, December.
    3. Rosen, Dan & Saunders, David, 2010. "Risk factor contributions in portfolio credit risk models," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 336-349, February.
    4. Xingxing Ye & Raphaël Douady, 2019. "Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel," Post-Print hal-02488592, HAL.
    5. Siqiao Zhao & Dan Wang & Raphael Douady, 2024. "PolyModel for Hedge Funds' Portfolio Construction Using Machine Learning," Papers 2412.11019, arXiv.org.

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    More about this item

    Keywords

    Factor risk; Gaussian copula; Hedge fund replication; Hedge fund risk; Nonlinear risk; 60E99; 91B28; 91B30; C35; G29;
    All these keywords.

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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